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pn sn .
n=0
Note that
the pgf of X is just the generating function of the sequence of probabilities p0 , p1 , p2 , . . . .
P
GX (1) = n=0 pn 1. Thus the radius R of convergence of GX (s) is at least 1.
X is proper if GX (1) = 1, and X is improper if GX (1) < 1.
P
n
if X is proper then GX (s) = E(sX ) =
for all R < s < R.
n=0 s P (X = n)
Examples:
1. Let X binom(n, p). Then
X
GX (s) = E(s ) =
n
X
sk P (X = k)
k=0
n k
=
s
p (1 p)nk
k
k=0
n
X
n
=
(ps)k (1 p)nk
k
k=0
n
X
= (1p + ps)n
sk (1p)k1 p
k=1
p X
[s(1 p)]k
=
1p
k=1
ps
1 s(1p)
1
1p
2
Applications of Probability Generating Functions:
Suppose we are able to find the functional form GX (s) by some method. Then:
1. we can determine whether or not X is proper: X is proper iff GX (1) = 1.
2. if X is proper, then E(X) = G0X (1).
proof:
G0X (s)
X
X
d X
d
n
n
pn s =
=
pn s =
npn sn1
ds n=0
ds
n=0
n=1
G0X (s)
s1
n=1
n pn =
n=0
n pn = E(X).
npn sn1 =
n=1
n=1
For convenience we will also denote the above left hand side limit by G0X (1).
00
00
3. if X is proper, then GX (1) = E(X(X 1)). Thus Var(X) = GX (1)+G0X (1)[G0X (1)]2.
00
proof: GX (s) =
X
X
d 0
d
GX (s) =
n pn sn1 =
n(n1) pn sn2
ds
ds
n=1
n=2
00
proof:
X1 +X2 ++Xn
X1 X2
= E(s s
Xn
3
Examples:
1. Let IA = indicator of an event A, and suppose p = P (A). Then
GIA (s) = E(sIA ) = s0 (1 p) + s p = 1p + ps.
Now if X binom(n, p) we can write X = I1 + I2 + + In where I1, I2, . . . , In are
independent identically-distributed indicator variables. It follows that
GX (s) = GI1 +I2 ++In (s) = (GI1 (s))n = (1p + ps)n
2. Let X geometric(p). We have
[1 s(1p)](p) ps[(1p)]
d
ps
0
=
for |s| < 1/(1p)
GX (s) =
ds 1 s(1p)
[1 s(1p)]2
p
do not bother simplifying like this
=
[1 s(1p)]2
Then E(X) = G0X (1) = 1/p as we already know.
3. Suppose we are given a function of the form
4
1
s
which makes sense for |3s/4| < 1
G(s) =
4 1 3s
4
Expand in a power series to obtain the coefficients. Use this to verify that G(s) is in
fact a probability generating function and obtain the probability mass function of X.
Show that X is proper and find E(X).
G(s) =
1 4
s
4
1
1 3s
4
1 4
s
4
X
n !
n
n4
X
1X 3
3s
3
n+4
sn
s
=
=
n3
4
4
4
4
n=0
n=0
n=4
n4
1 [(1 3s/4)(4s3 ) s4(3/4)]
G (s) =
4
(1 3s/4)2
0